{"id":169,"date":"2020-02-09T21:40:13","date_gmt":"2020-02-10T02:40:13","guid":{"rendered":"https:\/\/www.jmjatlanta.com\/?p=169"},"modified":"2021-03-16T12:29:28","modified_gmt":"2021-03-16T17:29:28","slug":"algorithmic-detection-of-chart-patterns","status":"publish","type":"post","link":"https:\/\/www.jmjatlanta.com\/index.php\/2020\/02\/09\/algorithmic-detection-of-chart-patterns\/","title":{"rendered":"Algorithmic detection of chart patterns"},"content":{"rendered":"\n<p>I have been building out some algorithms that rely on detecting &#8220;consolidation&#8221;. Chartists know what that looks like, but the term by itself is extremely vague to a quant. What to do?<\/p>\n\n\n\n<p>I have often thought about the method used in creating &#8220;<a href=\"https:\/\/www.amazon.com\/Encyclopedia-Chart-Patterns-Thomas-Bulkowski\/dp\/0471668265\">The encyclopedia of chart patterns<\/a>&#8221; and wondered if such could be used as part of an automated strategy. I read somewhere that the source code for the application used to build the data in that book was written in VB, and was for his personal use.  Sad, but I would have probably done the same thing.<\/p>\n\n\n\n<p>Today I began reading &#8220;<a href=\"https:\/\/www.cis.upenn.edu\/~mkearns\/teaching\/cis700\/lo.pdf\">Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation<\/a>&#8221; (2000) by Lo, Mamaysky, and Wang. What a great paper. It details some of the technical challenges of building such algorithms.<\/p>\n\n\n\n<p>What I like of the paper is that it picked one smoothing algorithm, and basically said &#8220;we picked it and went with it, right or wrong&#8221;. My interpretation of that is &#8220;you can take this further, but we wanted to give you enough information to get you started&#8221;. Kudos to the authors.<\/p>\n\n\n\n<p>Is it worth the effort to implement? Time will tell. But it certainly helped me get my head around some of the intricacies of smoothing estimators and finding optimal values for them.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>I have been building out some algorithms that rely on detecting &#8220;consolidation&#8221;. Chartists know what that looks like, but the term by itself is extremely vague to a quant. What to do? I have often thought about the method used in creating &#8220;The encyclopedia of chart patterns&#8221; and wondered if such could be used as [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[15],"class_list":["post-169","post","type-post","status-publish","format-standard","hentry","category-uncategorized","tag-system-trading"],"blocksy_meta":[],"_links":{"self":[{"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/posts\/169","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/comments?post=169"}],"version-history":[{"count":2,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/posts\/169\/revisions"}],"predecessor-version":[{"id":171,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/posts\/169\/revisions\/171"}],"wp:attachment":[{"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/media?parent=169"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/categories?post=169"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.jmjatlanta.com\/index.php\/wp-json\/wp\/v2\/tags?post=169"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}